Is John Hull's book a must-read for quants not doing derivative pricing?

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echostate

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e.g., for quants concentrating on quantitative portfolio optimization and management

3ks
 
echostate said:
e.g., for quants concentrating on quantitative portfolio optimization and management

3ks
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Hull is a good introduction but focuses mostly on derivatives. If you want a rigorous treatment of modern portfolio optimization and are familiar with S-Plus/R, check out the following book by Scherer.
Amazon.com: Introduction to Modern Portfolio Optimization with NuOPT, S-PLUS and S+Bayes: Bernd Scherer,R. Douglas Martin: Books

Dr. Eric Zivot's has also dedicated a few pages to basic portfolio optimization routines in his Times Series book. I think this might be a better starting point, before diving into Scherer's book.
 
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